会计、银行与资本（Accounting, Banking & Capital）SEMINARS（No.61）

时 间：2019年1月9日（周三）下午14:00

地 点：浙江大学紫金港校区行政楼702会议室

主讲人：韩兴博士，新西兰奥塔哥大学商学院

主持人：黄英教授，开云官方端网站登录入口

题 目：Investor Overconfidence and the Security Market Line: New Evidence from China 

摘 要：

      This paper documents a highly downward sloping security market line (SML) in China, which is more puzzling than the typical “flattened” SML in the US, and is difficult to be explained by existing theories of low-beta anomaly. We develop a theoretical model to explain the puzzling low-beta anomaly in China. Consistent with the model implications, we show that the slope of the SML becomes more “inverted” when investors become overconfident with increased trading volume. We also find that high-beta stocks are the most traded stocks and are linked with the lowest risk-adjusted returns, leading to a much greater profitability of the betting-against-beta strategy in China than in the developed markets. Mutual fund evidence in China reinforces the view that institutional investors actively exploit the portfolio implications of a downward sloping SML by shying away from high-beta stocks and betting on low-beta stocks for superior performance.  

主讲人简介：

       韩兴，新西兰奥塔哥大学商学院助理教授，注册金融分析师。毕业于比利时根特大学，获经济学博士学位；研究领域为资产定价，行为金融和市场微观结构等，并在Journal of Empirical Finance, Energy Economics等期刊上发表论文。